It’s the entire baseline, on net.
Cote ’15 [Denise; February 13; District Judge for the United States in the New York Southern District; Lexis, “Fed. Hous. Fin. Agency v. Nomura Holding Am., Inc., 2015 U.S. Dist.,” 11cv6201]
"The FSP defines OTT impairments as any decrease in expected cash flows that results in the holder not expecting to recover the entire amortized cost basis of the securities, whether or not that decrease is probable. This definition should increase the frequency of OTT impairments."
At the same time,
[t]he FSP reduces the losses that holders of OTT-impaired securities must record in net income if they do not intend to sell the securities and more likely than not will not be required to sell the securities before recovery of the amortized cost basis less the portion of the current period OTT loss that is recorded in net income (hereafter, "the amortized cost basis less the current period OTT credit loss"). For securities that the holder intends to sell or more likely than not would be required to sell before such recovery, the FSP retains the previously required accounting under FAS 115, as issued . . . .